Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 2 | 3 |
| Score | 0.37 | -2.09 | -0.71 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.47 | 0.47 | 0.48 |
| Idiosyncratic Volatility | 1.73 | 1.62 | 2.27 |
Annualized return and volatility
| RERGX | |
|---|---|
| Annualized Return | 0.0896 |
| Annualized Std Dev | 0.1590 |
| Annualized Sharpe (Rf=0%) | 0.5637 |
Row
Daily Return Statistics
| RERGX | |
|---|---|
| Observations | 2725.0000 |
| NAs | 2389.0000 |
| Minimum | -0.0676 |
| Quartile 1 | -0.0041 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0055 |
| Maximum | 0.0573 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0001 |
| Stdev | 0.0100 |
| Skewness | -0.3528 |
| Kurtosis | 4.5081 |
Downside Risk
| RERGX | |
|---|---|
| Semi Deviation | 0.0073 |
| Gain Deviation | 0.0067 |
| Loss Deviation | 0.0078 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0072 |
| Downside Deviation (0%) | 0.0072 |
| Maximum Drawdown | 0.2615 |
| Historical VaR (95%) | -0.0160 |
| Historical ES (95%) | -0.0245 |
| Modified VaR (95%) | -0.0162 |
| Modified ES (95%) | -0.0286 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-03 | 2011-10-03 | 2013-04-29 | -0.2615 | 507 | 108 | 399 |
| 2018-01-29 | 2018-12-24 | 2019-12-17 | -0.2379 | 484 | 233 | 251 |
| 2015-05-22 | 2016-02-11 | 2017-04-24 | -0.2253 | 491 | 186 | 305 |
| 2010-04-15 | 2010-05-26 | 2010-10-01 | -0.1678 | 121 | 31 | 90 |
| 2010-01-12 | 2010-02-08 | 2010-04-14 | -0.1168 | 64 | 19 | 45 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | RERGX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2009 | NA | NA | NA | NA | 2.6 | 1.8 | 0.0 | -2.4 | -2.5 | 0.0 | 2.7 | 0 | 2.1 |
| 2010 | 1.6 | 0.9 | 1.3 | 0.0 | -1.0 | 0.4 | 0.0 | 2.9 | 0.7 | 0.3 | 2.6 | 0 | 10.1 |
| 2011 | 1.9 | -0.6 | 1.1 | 0.0 | -1.4 | 1.0 | -1.0 | -0.2 | 0.0 | -2.7 | -0.4 | 0 | -2.4 |
| 2012 | 1.7 | 0.9 | 0.0 | 0.0 | -2.3 | 0.0 | -0.5 | 0.0 | 0.8 | 1.0 | 0.0 | 0 | 1.5 |
| 2013 | 1.0 | 0.0 | -0.4 | -0.6 | 0.0 | 0.8 | 1.5 | 0.0 | 0.9 | -0.6 | 0.0 | 0 | 2.6 |
| 2014 | 0.0 | 0.0 | 0.9 | 0.3 | 0.0 | 0.8 | -0.5 | 0.0 | -1.3 | 0.0 | -0.6 | 0 | -0.4 |
| 2015 | 0.0 | 0.0 | 0.5 | 0.5 | -0.1 | 0.6 | 0.0 | -2.8 | 0.1 | 0.0 | 1.0 | 0 | -0.3 |
| 2016 | 0.1 | 2.4 | -0.8 | 0.0 | -0.3 | 0.3 | -0.1 | 0.4 | 0.0 | -0.5 | -0.5 | 0 | 1.0 |
| 2017 | 0.5 | 1.1 | 0.0 | 0.2 | 0.6 | 0.0 | 0.4 | 0.2 | 0.0 | 0.5 | -0.5 | 0 | 3.0 |
| 2018 | 0.0 | -0.9 | 0.0 | -0.3 | 0.8 | 0.0 | -0.3 | 0.0 | -0.1 | 1.7 | 0.0 | 0 | 0.9 |
| 2019 | -0.1 | 0.3 | 1.3 | -0.3 | 0.0 | 0.9 | -0.3 | 0.0 | -0.8 | 1.0 | 0.0 | 0 | 1.9 |
Row
Rolling Performance Chart
Snail Trail Chart
